We formulate the generalized master equation for a class of continuous time random walks in the presence of a prescribed deterministic evolution between successive transitions. This formulation is exemplified by means of an advection-diffusion and a jump-diffusion scheme. Based on this master equation, we also derive reaction-diffusion equations for subdiffusive chemical species, using a mean field approximation.
We study the average shape of fluctuations for subdiffusive processes, i.e., processes with uncorrelated increments but where the waiting time distribution has a broad power-law tail. This shape is obtained analytically by means of a fractional diffusion approach. We find that, in contrast with processes where the waiting time between increments has finite variance, the fluctuation shape is no longer a semicircle: it tends to adopt a table-like form as the subdiffusive character of the process increases. The theoretical predictions are compared with numerical simulation results.
Systems living in complex non equilibrated environments often exhibit subdiffusion characterized by a sublinear power-law scaling of the mean square displacement. One of the most common models to describe such subdiffusive dynamics is the continuous time random walk (CTRW). Stochastic trajectories of a CTRW can be described mathematically in terms of a subordination of a normal diffusive process by an inverse Levy-stable process. Here, we propose a simpler Langevin formulation of CTRWs without subordination. By introducing a new type of non-Gaussian noise, we are able to express the CTRW dynam…
This paper is concerned with a non-homogeneous in space and non-local in time random walk model for anomalous subdiffusive transport of cells. Starting with a Markov model involving a structured probability density function, we derive the non-local in time master equation and fractional equation for the probability of cell position. We show the structural instability of fractional subdiffusive equation with respect to the partial variations of anomalous exponent. We find the criteria under which the anomalous aggregation of cells takes place in the semi-infinite domain.
The asymptotic mean number of distinct sites visited by a subdiffusive continuous time random walker in two dimensions seems not to have been explicitly calculated anywhere in the literature. This number has been calculated for other dimensions for only one specific asymptotic behavior of the waiting time distribution between steps. We present an explicit derivation for two cases in all integer dimensions so as to formally complete a tableaux of results. In this tableaux we include the dominant as well as subdominant contributions in all integer dimensions. Other quantities that can be calcula…
We study normal diffusive and subdiffusive processes in a harmonic potential (Ornstein-Uhlenbeck process) on a uniformly growing/contracting domain. Our starting point is a recently derived fractional Fokker-Planck equation, which covers both the case of Brownian diffusion and the case of a subdiffusive Continuous-Time Random Walk (CTRW). We find a high sensitivity of the random walk properties to the details of the domain growth rate, which gives rise to a variety of regimes with extremely different behaviors. At the origin of this rich phenomenology is the fact that the walkers still move wh…
We analyze two models of subdiffusion with stochastic resetting. Each of them consists of two parts: subdiffusion based on the continuous-time random walk (CTRW) scheme and independent resetting events generated uniformly in time according to the Poisson point process. In the first model the whole process is reset to the initial state, whereas in the second model only the position is subject to resets. The distinction between these two models arises from the non-Markovian character of the subdiffusive process. We derive exact expressions for the two lowest moments of the full propagator, stati…
In this paper we study subdiffusion in a system with a thin membrane. At the beginning, the random walk of a particle is considered in a system with a discrete time and space variable and then the probability describing the evolution of the particle's position (Green's function) is transformed into a continuous system. Two models are considered differing here from each other regarding the assumptions about how the particle is stopped or reflected by the membrane when the particle attempts to pass through the membrane fails. We show that for a system in which a membrane is partially permeable w…
We study a generalization of the standard trapping problem of random walk theory in which particles move subdiffusively on a one-dimensional lattice. We consider the cases in which the lattice is filled with a one-sided and a two-sided random distribution of static absorbing traps with concentration c. The survival probability Phi(t) that the random walker is not trapped by time t is obtained exactly in both versions of the problem through a fractional diffusion approach. Comparison with simulation results is made
In this article we address the problem of the nonlinear interaction of subdiffusive particles. We introduce the random walk model in which statistical characteristics of a random walker such as escape rate and jump distribution depend on the mean field density of particles. We derive a set of nonlinear subdiffusive fractional master equations and consider their diffusion approximations. We show that these equations describe the transition from an intermediate subdiffusive regime to asymptotically normal advection-diffusion transport regime. This transition is governed by nonlinear tempering pa…
Infiltration of diffusing particles from one material to another where the diffusion mechanism is either normal or anomalous is a widely observed phenomena. When the diffusion is anomalous we find interesting behaviors: diffusion may lead to an averaged net drift <x> from one material to another even if all particles eventually flow in the opposite direction, or may lead to a flow without drift. Starting with an underlying continuous time random walk model we solve diffusion equations describing this problem. Similar drift against flow is found in the quenched trap model. We argue that such a …
We show how the nonlinear interaction effects `volume filling' and `adhesion' can be incorporated into the fractional subdiffusive transport of cells and individual organisms. To this end, we use microscopic random walk models with anomalous trapping and systematically derive generic non-Markovian and nonlinear governing equations for the mean concentrations of the subdiffusive cells or organisms. We uncover an interesting interaction between the nonlinearities and the non-Markovian nature of the transport. In the subdiffusive case, this interaction manifests itself in a nontrivial combination…
We consider scaled Brownian motion (sBm), a random process described by a diffusion equation with explicitly time-dependent diffusion coefficient $D(t) = D_0 t^{α- 1}$ (Batchelor's equation) which, for $α< 1$, is often used for fitting experimental data for subdiffusion of unclear genesis. We show that this process is a close relative of subdiffusive continuous-time random walks and describes the motion of the center of mass of a cloud of independent walkers. It shares with subdiffusive CTRW its non-stationary and non-ergodic properties. The non-ergodicity of sBm does not however go hand in ha…
Expanding media are typical in many different fields, e.g. in Biology and Cosmology. In general, a medium expansion (contraction) brings about dramatic changes in the behavior of diffusive transport properties. Here, we focus on such effects when the diffusion process is described by the Continuous Time Random Walk (CTRW) model. For the case where the jump length and the waiting time probability density functions (pdfs) are long-tailed, we derive a general bifractional diffusion equation which reduces to a normal diffusion equation in the appropriate limit. We then study some particular cases …
We study the persistent random walk of photons on a one-dimensional lattice of random transmittances. Transmittances at different sites are assumed independent, distributed according to a given probability density $f(t)$. Depending on the behavior of $f(t)$ near $t=0$, diffusive and subdiffusive transports are predicted by the disorder expansion of the mean square-displacement and the effective medium approximation. Monte Carlo simulations confirm the anomalous diffusion of photons. To observe photon subdiffusion experimentally, we suggest a dielectric film stack for realization of a distribut…
Subdiffusive fractional equations are not structurally stable with respect to spatial perturbations to the anomalous exponent (Phys. Rev. E 85, 031132 (2012)). The question arises of applicability of these fractional equations to model real world phenomena. To rectify this problem we propose the inclusion of the random death process into the random walk scheme from which we arrive at the modified fractional master equation. We analyze the asymptotic behavior of this equation, both analytically and by Monte Carlo simulation, and show that this equation is structurally stable against spatial var…
Although the title seems self-contradictory, it does not contain a misprint. The model we study is a seemingly minor modification of the "true self-avoiding walk" (TSAW) model of Amit, Parisi, and Peliti in two dimensions. The walks in it are self-repelling up to a characteristic time $T^*$ (which depends on various parameters), but spontaneously (i.e., without changing any control parameter) become self-trapping after that. For free walks, $T^*$ is astronomically large, but on finite lattices the transition is easily observable. In the self-trapped regime, walks are subdiffusive and intermitt…
We study the first passage dynamics of an ageing stochastic process in the continuous time random walk (CTRW) framework. In such CTRW processes the test particle performs a random walk, in which successive steps are separated by random waiting times distributed in terms of the waiting time probability density function $ψ(t) \simeq t^{-1-α}$) ($0\le α\le 2$). An ageing stochastic process is defined by the explicit dependence of its dynamic quantities on the ageing time $t_a$, the time elapsed between its preparation and the start of the observation. Subdiffusive ageing CTRWs describe systems su…
In this paper we present an integro-differential diffusion equation for continuous time random walk that is valid for a generic waiting time probability density function. Using this equation we also study diffusion behaviors for a couple of specific waiting time probability density functions such as exponential, and a combination of power law and generalized Mittag-Leffler function. We show that for the case of the exponential waiting time probability density function a normal diffusion is generated and the probability density function is Gaussian distribution. In the case of the combination o…
We calculate the survival probability of an immobile target surrounded by a sea of uncorrelated diffusive or subdiffusive evanescent traps, i.e., traps that disappear in the course of their motion. Our calculation is based on a fractional reaction-subdiffusion equation derived from a continuous time random walk model of the system. Contrary to an earlier method valid only in one dimension (d=1), the equation is applicable in any Euclidean dimension d and elucidates the interplay between anomalous subdiffusive transport, the irreversible evanescence reaction and the dimension in which both the …
We consider the dynamics of a separable Continuous Time Random Walk (CTRW) when the random walker is biased by a velocity field in a uniformly growing domain. Concrete examples for such domains include growing biological cells or lipid vesicles, biofilms and tissues, but also macroscopic systems such as expanding aquifers during rainy periods, or the expanding universe. The considered CTRW can be subdiffusive, normal diffusive or superdiffusive, including the particular case of a Lévy flight. We first consider the case of zero velocity field. In the subdiffusive case, we reveal an interesting …
Motivated by studies on the recurrent properties of animal and human mobility, we introduce a path-dependent random walk model with long range memory for which not only the mean square displacement (MSD) can be obtained exactly in the asymptotic limit, but also the propagator. The model consists of a random walker on a lattice, which, at a constant rate, stochastically relocates at a site occupied at some earlier time. This time in the past is chosen randomly according to a memory kernel, whose temporal decay can be varied via an exponent parameter. In the weakly non-Markovian regime, memory r…
We combine experiment and theory to investigate the diffusive and subdiffusive dynamics of paramagnetic colloids driven above a two-state flashing potential. The magnetic potential was realized by periodically modulating the stray field of a magnetic bubble lattice in a uniaxial ferrite garnet film. At large amplitudes of the driving field, the dynamics of particles resembles an ordinary random walk with a frequency-dependent diffusion coefficient. However, subdiffusive and oscillatory dynamics at short time scales is observed when decreasing the amplitude. We present a persistent random walk …
We study a one-dimensional random walk with memory. The behavior of the walker is modified with respect to the simple symmetric random walk (SSRW) only when he is at the maximum distance ever reached from his starting point (home). In this case, having the choice to move farther or to move closer, he decides with different probabilities. If the probability of a forward step is higher then the probability of a backward step, the walker is bold, otherwise he is timorous. We investigate the asymptotic properties of this bold/timorous random walk (BTRW) showing that the scaling behavior vary conti…
We show that the generalized diffusion coefficient of a subdiffusive intermittent map is a fractal function of control parameters. A modified continuous time random walk theory yields its coarse functional form and correctly describes a dynamical phase transition from normal to anomalous diffusion marked by strong suppression of diffusion. Similarly, the probability density of moving particles is governed by a time-fractional diffusion equation on coarse scales while exhibiting a specific fine structure. Approximations beyond stochastic theory are derived from a generalized Taylor-Green-Kubo f…
We find a general formula for the distribution of time-averaged observables for systems modeled according to the sub-diffusive continuous time random walk. For Gaussian random walks coupled to a thermal bath we recover ergodicity and Boltzmann's statistics, while for the anomalous subdiffusive case a weakly non-ergodic statistical mechanical framework is constructed, which is based on Lévy's generalized central limit theorem. As an example we calculate the distribution of $\bar{X}$: the time average of the position of the particle, for unbiased and uniformly biased particles, and show that $\b…
Commonly, normal diffusive behavior is characterized by a linear dependence of the second central moment on time, $< x^2(t) >\propto t$, while anomalous behavior is expected to show a different time dependence, $ < x^2(t) > \propto t^δ$ with $δ<1$ for subdiffusive and $δ>1$ for superdiffusive motions. Here we demonstrate that this kind of qualification, if applied straightforwardly, may be misleading: There are anomalous transport motions revealing perfectly "normal" diffusive character ($< x^2(t) >\propto t$), yet being non-Markov and non-Gaussian in nature. We use recently developed framewor…
The Levy-flight dynamics can stem from simple random walks in a system whose operational time (number of steps n) typically grows superlinearly with physical time t. Thus, this processes is a kind of continuous-time random walks (CTRW), dual to usual Scher-Montroll model, in which $n$ grows sublinearly with t. The models in which Levy-flights emerge due to a temporal subordination let easily discuss the response of a random walker to a weak outer force, which is shown to be nonlinear. On the other hand, the relaxation of en ensemble of such walkers in a harmonic potential follows a simple expo…
Continuous time random walks are non-Markovian stochastic processes, which are only partly characterized by single-time probability distributions. We derive a closed evolution equation for joint two-point probability density functions of a subdiffusive continuous time random walk, which can be considered as a generalization of the known single-time fractional diffusion equation to two-time probability distributions. The solution of this generalized diffusion equation is given as an integral transformation of the probability distribution of an ordinary diffusion process, where the integral kern…
Levy walk is a fundamental model with applications ranging from quantum physics to paths of animal foraging. Taking animal foraging as an example, a natural idea that comes to one's mind is to introduce the multiple internal states for dealing with the dependence of the PDF of waiting time on the energy of the animal and richness of the food at a particular location, etc; the framework can also be used to model the moving trajectories of smart animals without returning to the directions or locations which they come from immediately. After building the Levy walk model with multiple internal sta…
A non-Markovian counting process, the `generalized fractional Poisson process' (GFPP) introduced by Cahoy and Polito in 2013 is analyzed. The GFPP contains two index parameters $0<β\leq 1$, $α>0$ and a time scale parameter. Generalizations to Laskin's fractional Poisson distribution and to the fractional Kolmogorov-Feller equation are derived. We develop a continuous time random walk subordinated to a GFPP in the infinite integer lattice $\mathbb{Z}^d$. For this stochastic motion, we deduce a `generalized fractional diffusion equation'. In a well-scaled diffusion limit this motion is governed …
In this article, we generalize the recent Discrete Time Random Walk (DTRW) algorithm, which was introduced for the computation of probability densities of fractional diffusion. Although it has the same computational complexity and shares the same desirable features (consistency, conservation of mass, strictly non-negative solutions), it applies to virtually every conceivable Continuous Time Random Walk (CTRW) limit process, which we define broadly as the limit of a sequence of jump processes with renewals at every jump. Our only restrictive assumption is the boundedness and continuity of coeff…
Standard continuous time random walk (CTRW) models are renewal processes in the sense that at each jump a new, independent pair of jump length and waiting time are chosen. Globally, anomalous diffusion emerges through action of the generalized central limit theorem leading to scale-free forms of the jump length or waiting time distributions. Here we present a modified version of recently proposed correlated CTRW processes, where we incorporate a power-law correlated noise on the level of both jump length and waiting time dynamics. We obtain a very general stochastic model, that encompasses key…
We investigate the nonergodicity of the generalized Lévy walk introduced by Shlesinger et al. [Phys. Rev. Lett. 58, 1100 (1987)] with respect to the squared displacements. We present detailed analytical derivations of our previous findings outlined in a recent Letter [Phys. Rev. Lett. 120, 104501 (2018)], give profound interpretations, and especially emphasize three surprising results: First, we find that the mean-squared displacements can diverge for a certain range of parameter values. Second, we show that an ensemble of trajectories can spread subdiffusively, whereas individual time-average…
We show that for a subdiffusive continuous time random walk with scale-free waiting time distribution the first-passage dynamics on a finite interval can be optimised by introduction of a piecewise linear potential barrier. Analytical results for the survival probability and first-passage density based on the fractional Fokker-Planck equation are shown to agree well with Monte Carlo simulations results. As an application we discus an improved deign for efficient translocation of gradient copolymers compared to homopolymer translocation in a quasi-equilibrium approximation.
Experimental studies of the diffusion of biomolecules in the environment of biological cells are routinely confronted with multiple sources of stochasticity, whose identification renders the detailed data analysis of single molecule trajectories quite intricate. Here we consider subdiffusive continuous time random walks, that represent a seminal model for the anomalous diffusion of tracer particles in complex environments. This motion is characterized by multiple trapping events with infinite mean sojourn time. In real physical situations, however, instead of the full immobilization predicted …
We introduce a persistent random walk model for the stochastic transport of particles involving self-reinforcement and a rest state with Mittag-Leffler distributed residence times. The model involves a system of hyperbolic partial differential equations with a non-local switching term described by the Riemann-Liouville derivative. From Monte Carlo simulations, this model generates superdiffusion at intermediate times but reverts to subdiffusion in the long time asymptotic limit. To confirm this result, we derive the equation for the second moment and find that it is subdiffusive in the long ti…
Continuous time random walk (CTRW) subdiffusion along with the associated fractional Fokker-Planck equation (FFPE) is traditionally based on the premise of random clock with divergent mean period. This work considers an alternative CTRW and FFPE description which is featured by finite mean residence times (MRTs) in any spatial domain of finite size. Transient subdiffusive transport can occur on a very large time scale $τ_c$ which can greatly exceed mean residence time in any trap, $τ_c\gg <τ>$, and even not being related to it. Asymptotically, on a macroscale transport becomes normal for $t\gg…
We calculate the two-point correlation function <x(t2)x(t1)> for a subdiffusive continuous time random walk in a parabolic potential, generalizing well-known results for the single-time statistics to two times. A closed analytical expression is found for initial equilibrium, revealing a clear deviation from a Mittag-Leffler decay.
We study a class of random walk, the stored-energy-driven Lévy flight (SEDLF), whose jump length is determined by a stored energy during a trapped state. The SEDLF is a continuous-time random walk with jump lengths being coupled with the trapping times. It is analytically shown that the ensemble-averaged mean square displacements exhibit subdiffusion as well as superdiffusion, depending on the coupling parameter. We find that time-averaged mean square displacements increase linearly with time and the diffusion coefficients are intrinsically random, a manifestation of {\it distributional ergodi…
We numerically test the correspondence between the scaling limit of self-avoiding walks (SAW) in the plane and Schramm-Loewner evolution (SLE) with k=8/3. We introduce a discrete-time process approximating SLE in the exterior of the unit disc and compare the distribution functions for an internal point in the SAW and a point at a fixed fractal variation on the SLE, finding good agreement. This provides numerical evidence in favor of a conjecture by Lawler, Schramm and Werner. The algorithm turns out to be an efficient way of computing the position of an internal point in the SAW.
Reaction-diffusion equations are widely used as the governing evolution equations for modeling many physical, chemical, and biological processes. Here we derive reaction-diffusion equations to model transport with reactions on a one-dimensional domain that is evolving. The model equations, which have been derived from generalized continuous time random walks, can incorporate complexities such as subdiffusive transport and inhomogeneous domain stretching and shrinking. A method for constructing analytic expressions for short time moments of the position of the particles is developed and moments…
Single particle tracking of mRNA molecules and lipid granules in living cells shows that the time averaged mean squared displacement $\overline{δ^2}$ of individual particles remains a random variable while indicating that the particle motion is subdiffusive. We investigate this type of ergodicity breaking within the continuous time random walk model and show that $\overline{δ^2}$ differs from the corresponding ensemble average. In particular we derive the distribution for the fluctuations of the random variable $\overline{δ^2}$. Similarly we quantify the response to a constant external field, …
We consider equilibrium relaxation properties of the end-to-end distance and of principal components in a one-dimensional polymer chain model with nonlinear interaction between the beads. While for the single-well potentials these properties are similar to the ones of a Rouse chain, for the double-well interaction potentials, modeling internal friction, they differ vastly from the ones of the harmonic chain at intermediate times and intermediate temperatures. This minimal description within a one-dimensional model mimics the relaxation properties found in much more complex polymer systems. Thu…
The phenomenon of localization usually happens due to the existence of disorder in a medium. Nevertheless, certain quantum systems allow dynamical localization solely due to the nature of internal interactions. We study a discrete time quantum walker which exhibits disorder free localization. The quantum walker moves on a one-dimensional lattice and interacts with on-site spins by coherently rotating them around a given axis at each step. Since the spins do not have dynamics of their own, the system poses the local spin components along the rotation axis as an extensive number of conserved mom…
We discuss the derivation and the solutions of integro-differential equations (variable-order time-fractional diffusion equations) following as continuous limits for lattice continuous time random walk schemes with power-law waiting-time probability density functions, whose parameters are position-dependent. We concentrate on subdiffusive cases and discuss two situations as examples: A system consisting of two parts with different exponents of subdiffusion, and a system in which the subdiffusion exponent changes linearly from one end of the interval to another one. In both cases we compare the…
To solve the obscureness in measurement brought about from the weak ergodicity breaking appeared in anomalous diffusions we have suggested the time-averaged mean squared displacement (MSD) $\bar{δ^2 (τ)}_τ$ with a integral interval depending linearly on the lag time $τ$. For the continuous time random walk describing a subdiffusive behavior, we have found that $\bar{δ^2 (τ)}_τ\sim τ^γ$ like that of the ensemble-averaged MSD, which makes it be possible to measure the proper exponent values through time-average in experiments like a single molecule tracking. Also we have found that it is origina…
We study the ergodic properties of superdiffusive, spatiotemporally coupled Levy walk processes. For trajectories of finite duration, we reveal a distinct scatter of the scaling exponents of the time averaged mean squared displacement delta**2 around the ensemble value 3-alpha (1<alpha<2) ranging from ballistic motion to subdiffusion, in strong contrast to the behavior of subdiffusive processes. In addition we find a significant dependence of the trajectory-to-trajectory average of delta**2 as function of the finite measurement time. This so-called finite-time amplitude depression and the scat…
We consider stochastic systems involving general -- non-Gaussian and asymmetric -- stable processes. The random quantities, either a stochastic force or a waiting time in a random walk process, explicitly depend on the position. A fractional diffusion equation corresponding to a master equation for a jumping process with a variable jumping rate is solved in a diffusion limit. It is demonstrated that for some model parameters the equation is satisfied in that limit by the stable process with the same asymptotics as the driving noise. The Langevin equation containing a multiplicative noise, depe…
Several models of stock trading [P. Bak et al, Physica A {\bf 246}, 430 (1997)] are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the short-time market price variation is subdiffusive with a Hurst exponent $H=1/4$. Biased diffusion towards the market price and blind-eyed copying lead to crossovers to the empirically observed random-walk behavior ($H=1/2$) at long times. The calculated crossover forms and diffusion constants are shown to agree well with simulation data.
We analyze the effect of time dependent external field on non-Markovian migration described by the continuous time random walk (CTRW) approach. The rigorous method of treating the problem is proposed which is based on the Markovian representations of the CTRW approach and field modulation. The method is applied to the case of subdiffusive migration in which the exact formulas for the first and second moments of spatial distribution are derived. For oscillating external field they predict unusual dependence of the first moment on oscillation phase and anomalous field dependent contribution to
The comb model is a simplified description for anomalous diffusion under geometric constraints. It represents particles spreading out in a two-dimensional space where the motions in the x-direction are allowed only when the y coordinate of the particle is zero. Here, we propose an extension for the comb model via Langevin-like equations driven by fractional Gaussian noises (long-range correlated). By carrying out computer simulations, we show that the correlations in the y-direction affect the diffusive behavior in the x-direction in a non-trivial fashion, resulting in a quite rich diffusive s…
Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term memory. The coarse-grained behavior of such processes is described by the diffusion equation. However, many natural processes do not possess the Markovian property and exhibit to anomalous diffusion. We consider here the case of subdiffusive processes, which are semi-Markovian and correspond to continuous-time random walks in which the waiting time for a step…
Self-activation coupled to a transport mechanism results in traveling waves that describe polymerization reactions, forest fires, tumor growth, and even the spread of epidemics. Diffusion is a simple and commonly used model of particle transport. Many physical and biological systems are, however, better described by persistent random walks that switch between multiple states of ballistic motion. So far, traveling fronts in persistent random walk models have only been analyzed in special, simplified cases. Here, we formulate the general model of reaction-transport processes in such systems and …
